GLD Options History — July 2013

In July 2013, GLD traded between $118.09 and $129.71. ATM implied volatility averaged 21.8%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 6.8% (HV 20d: 28.6%). Max pain ranged from $116.00 to $130.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2013-07-31: Highest Volume — 376,035 contracts
2013-07-11: Largest IV drop — 10.0% change
2013-07-01: Highest IV Rank — 65.2%
2013-07-01: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.50	$118.09	$129.71	$121.13	$127.96
Max Pain	$123.74	$116.00	$130.00	$116.00	$129.00
ATM IV	21.8%	18.7%	26.3%	26.3%	21.8%
Expected Move	6.2%	5.3%	7.5%	7.5%	6.2%
HV 20d	28.6%	19.6%	32.9%	30.4%	19.6%
HV 60d	27.2%	25.0%	32.3%	32.1%	25.5%
IV Rank	46.5%	33.8%	65.2%	65.2%	46.4%
IV Percentile	82.8%	71.4%	96.4%	96.4%	83.7%
Term Structure	-0.4%	-1.0%	0.6%	-1.0%	-0.4%
VWIV	22.5%	19.4%	27.7%	27.7%	23.0%
Skew 25d	3.7%	2.5%	4.9%	4.9%	4.0%
Skew 10d	7.6%	6.1%	9.5%	9.4%	7.9%
Call IV 25d	20.6%	17.6%	24.5%	24.5%	20.8%
Put IV 25d	24.3%	20.6%	29.4%	29.4%	24.8%
Bid-Ask Spread %	4.43	2.18	8.98	4.36	5.85
Gamma HHI	0.07	0.04	0.21	0.04	0.08
Net GEX	126.9M	-102.2M	300.7M	51.6M	147.6M
Net DEX	3.83B	397.2M	7.67B	5.74B	1.58B
Net VEX	-53.4M	-60.5M	-44.0M	-49.7M	-60.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.48	1.40	0.61	0.73
Total Volume	184,734.818	76,673	376,035	261,794	376,035
Total OI	3,541,954.136	3,267,119	3,849,626	3,394,324	3,459,240

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-07-01	$121.13	$116.00	26.3%	7.5%	30.4%	65.2%	27.7%	4.9%	-1.0%	51.6M	5.74B	-49.7M	0.61	4.36	162,767	99,027	2,102,266	1,292,058
2013-07-02	$120.05	$118.00	25.8%	7.4%	30.4%	63.1%	26.6%	4.7%	-0.8%	44.4M	6.44B	-47.5M	1.11	5.19	89,701	99,281	2,149,839	1,327,473
2013-07-03	$120.74	$118.00	24.9%	7.1%	30.6%	59.4%	25.1%	4.2%	-0.7%	54.0M	6.09B	-49.3M	0.70	4.20	62,635	43,809	2,184,727	1,365,163
2013-07-05	$118.09	$120.00	25.2%	7.2%	30.7%	60.6%	26.6%	4.0%	-0.6%	-102.2M	7.67B	-44.0M	0.48	4.91	173,678	83,735	2,190,842	1,368,782
2013-07-08	$119.51	$118.00	24.6%	7.1%	30.7%	58.2%	25.5%	4.0%	-0.7%	11.1M	6.82B	-44.2M	0.67	6.91	86,558	57,701	2,092,379	1,323,900
2013-07-09	$120.62	$118.00	23.8%	6.8%	31.0%	54.9%	24.8%	3.8%	-0.9%	58.5M	6.26B	-45.8M	0.65	7.86	93,963	60,619	2,134,648	1,346,083
2013-07-10	$120.95	$118.00	24.3%	7.0%	31.1%	56.9%	24.6%	3.9%	-0.7%	73.5M	6.01B	-47.9M	0.79	8.98	157,019	124,187	2,175,381	1,360,236
2013-07-11	$124.24	$0.00	21.9%	6.3%	32.8%	46.8%	22.7%	3.4%	-0.6%	176.8M	3.99B	-53.7M	0.52	6.91	209,270	109,172	2,255,793	1,413,646
2013-07-12	$124.13	$124.00	21.8%	6.3%	32.8%	46.7%	22.0%	3.4%	-0.3%	149.4M	3.95B	-54.7M	0.65	5.86	80,686	52,393	2,330,941	1,454,748
2013-07-15	$124.18	$125.00	21.1%	6.0%	32.7%	43.6%	21.7%	3.0%	-0.3%	159.3M	4.27B	-53.9M	0.94	2.39	46,651	43,776	2,296,701	1,402,193
2013-07-16	$124.89	$125.00	20.6%	5.9%	32.9%	41.6%	20.9%	3.3%	-0.1%	184.3M	3.81B	-54.8M	0.83	2.29	62,642	52,085	2,307,512	1,419,337
2013-07-17	$123.32	$125.00	20.8%	6.0%	32.9%	42.5%	22.1%	4.1%	-0.2%	149.9M	4.99B	-52.3M	1.40	2.45	92,115	128,927	2,331,240	1,426,364
2013-07-18	$124.01	$125.00	19.6%	5.6%	32.9%	37.4%	19.8%	3.5%	0.4%	188.5M	4.53B	-51.8M	0.85	2.28	89,073	75,657	2,338,433	1,455,676
2013-07-19	$125.11	$125.00	18.7%	5.3%	26.6%	33.8%	19.5%	3.0%	0.6%	300.7M	3.62B	-53.0M	1.00	2.18	80,791	80,706	2,367,197	1,482,429
2013-07-22	$128.84	$125.00	19.2%	5.5%	28.3%	35.8%	19.4%	2.5%	-0.3%	188.4M	907.5M	-58.2M	1.09	3.42	129,683	141,101	2,041,078	1,226,041
2013-07-23	$129.71	$126.00	19.4%	5.6%	28.1%	36.5%	19.8%	2.9%	-0.6%	201.0M	397.2M	-59.8M	1.06	4.01	88,639	93,875	2,078,837	1,269,012
2013-07-24	$127.48	$128.00	20.2%	5.8%	28.9%	40.1%	21.1%	3.9%	-0.6%	110.7M	2.01B	-58.5M	0.90	3.11	103,955	93,611	2,102,822	1,308,279
2013-07-25	$128.67	$128.00	19.3%	5.5%	23.6%	36.0%	19.9%	3.3%	-0.2%	143.9M	1.14B	-59.1M	0.87	3.78	54,265	47,170	2,130,469	1,319,440
2013-07-26	$128.78	$128.50	19.3%	5.5%	21.9%	36.4%	20.4%	3.6%	0.1%	193.7M	1.03B	-59.5M	1.08	3.17	71,435	76,981	2,148,414	1,332,820
2013-07-29	$128.47	$130.00	19.9%	5.7%	20.5%	38.9%	20.9%	3.8%	-0.3%	160.6M	1.41B	-58.3M	1.17	3.93	35,281	41,392	2,107,433	1,281,257
2013-07-30	$128.12	$129.00	20.6%	5.9%	20.0%	41.7%	20.4%	3.9%	-0.3%	145.0M	1.58B	-58.9M	0.64	3.31	68,169	43,950	2,123,211	1,298,651
2013-07-31	$127.96	$129.00	21.8%	6.2%	19.6%	46.4%	23.0%	4.0%	-0.4%	147.6M	1.58B	-60.5M	0.73	5.85	217,663	158,372	2,145,683	1,313,557